How to test that a given process is an Ornstein–Uhlenbeck process
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DOI: 10.1007/s11203-020-09233-1
Abstract: We show asymptotic distributions of the residual process in Ornstein–Uhlenbeck model, when the model is true. These distributions are of Brownian motion and of Brownian bridge, depending on whether we estimate one parameter or two.… read more here.
Keywords: process; given process; process ornstein; ornstein uhlenbeck ... See more keywords